Timeline for Portfolio optimisation with VaR or CVaR constraints using linear programming
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 4, 2023 at 9:25 | comment | added | DrJerryTAO | The eBook "Portfolio Optimization with R/Rmetrics" is available for free at the author's website rmetrics.org/ebooks. There is no such a book titled "Advanced Portfolio Optimization with R/Rmetrics" available although it is mentioned in some footnotes. I believe the author made an error in writing those footnotes, as their only book on Portfolio Optimization with R is the one that you already have read. | |
| Aug 15, 2012 at 0:42 | history | suggested | Darren Cook | CC BY-SA 3.0 |
Added link to the book referenced
|
| Aug 15, 2012 at 0:01 | review | Suggested edits | |||
| Aug 15, 2012 at 0:42 | |||||
| Aug 13, 2012 at 11:46 | comment | added | RockScience | +Alexey, do you have this ebook "Portfolio Optimization with R/Rmetrics"? On the google preview at page 333 it seems that I read that quadratic constraints are treated in the other ebook "Advanced Portfolio Optimization with R/Rmetrics" If you have the book, can you confirm if there are such examples? books.google.com.sg/… | |
| Aug 10, 2012 at 20:03 | comment | added | John | You might want to adjust this code, if possible, to incorporate CVaR constraints on a group of assets, rather than just minimizing the CVaR. | |
| Aug 10, 2012 at 14:44 | history | edited | Alexey Kalmykov | CC BY-SA 3.0 |
deleted 1 characters in body
|
| Aug 10, 2012 at 13:20 | history | answered | Alexey Kalmykov | CC BY-SA 3.0 |